Existence and uniqueness of optimal consumption and portfolio rules in a continuous-time finance model with habit formation and without short sales
Article Abstract:
A study of the solution to optimal consumption and portfolio rules in a continuous-time finance model where short sales are disallowed shows that any non-decreasing, continuous and concave utility function dominated by a linear function admits a solution. This solution is unique when the utility function is strictly concave. The effect of past consumption choices on current utility is demonstrated through the agents' preference which demonstrates consumption durability and habit formation.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 1997
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A variational problem arising in financial economics
Article Abstract:
The classical consumption-portfolio problem in financial economics is reviewed through a dynamic model of the securities market operating in continuous time. A solution to the problem exists if the utility functions are concave, increasing, continuous and dominated by a strictly concave power function. Such conditions are typical of most utility functions of interest to economists. In addition, price processes should pass a regularity condition.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 1991
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On intertemporal preferences in continuous time: the case of certainty
Article Abstract:
An analysis of consumer preferences under various topologies and set in continuoustime conditions is presented. The analysis focuses on spaces derived from Lipschitz continuous functions. The optimal consumption problem is then solved for a specific utility function. It is shown that optimal conditions dictate aninitial period of absent or minimal consumption which precedes a period in which consumption is conditioned by a constant wealth ratio.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 1992
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